All CL Short

P&L Summary

Range Return Sharpe Win% Ave Ave+ Ave- Max- Underwater Days %
20 12 8.3 83 5 7 (7) (13) 0 90
60 7 3.8 58 2 10 (6) (24) (1) 95
120 2 1.1 54 0 8 (7) (35) (1) 93
250 3 1.4 55 1 9 (9) (44) (2) 94
500 8 2.9 58 3 13 (10) (77) (2) 94
760 9 3 58 3 13 (10) (77) (2) 94
1260 5 2 52 2 11 (8) (77) (3) 94
2520 5 1.9 50 2 12 (8) (83) (4) 94
All 3 1.4 49 1 11 (8) (113) (4) 93

P&L Month Table

Year 1 2 3 4 5 6 7 8 9 10 11 12 R Sharpe Win% Trades MaxLoss UW Max Ave
Avg 1 0.3 0.3 (0.2) 0.2 0 0.9 0.2 0.2 0.5 0.4 1.3 4.9 1.7 51.8 249.2 (0.5) (1.6) 0.4 0.2
2017 (0.1) (0.1) 1 0.2 0.6 0 0 0 0 0 0 0 1.6 2.5 56.3 93 (0.2) (0.5) 0.3 0.1
2016 3.5 2.1 0.2 0.2 (0.5) 0.2 2.3 (0.5) 0 0.2 (0.5) (0.6) 6.6 2.1 54.3 241 (0.8) (1.7) 0.4 0.2
2015 1.3 (0.7) 1.7 (0.7) 0.1 (0.3) 2.7 1.9 0.3 (0.4) 0.8 3.1 9.8 3.1 59 257 (0.6) (1.7) 0.5 0.2
2014 0.2 0 (0.1) (0.1) (0.2) (0.2) 0 0.3 0 1.6 1.3 4.7 7.5 3.4 52.9 241 (0.3) (1.4) 0.4 0.2
2013 (0.1) 0.1 (0.3) (0.2) 0 (0.4) (0.2) (0.7) 0.4 0.3 0.4 (0.7) (1.4) (1.2) 44.8 255 (0.4) (2.1) 0.4 0.2
2012 0 (0.1) 0.1 (0.1) 1.6 0.8 (0.3) (0.2) 0.1 0.6 (0.2) (0.1) 2.2 1.2 47.8 252 (0.5) (0.9) 0.4 0.2
2011 0.4 0.1 (0.4) (0.8) 1.7 1.2 (0.1) 1.4 1.2 (1.5) (0.1) 0.1 3.2 1.2 48.4 249 (0.4) (2.7) 0.3 0.2
2010 0.4 (0.5) (0.2) (0.2) 2.3 (0.1) (0.1) 0.2 (0.6) (0.4) (0.8) (0.5) (0.5) (0.3) 46.6 246 (0.4) (2.9) 0.4 0.1
2009 1.5 1.4 (1.2) 0.7 (0.3) 0.1 1.4 0.1 0.3 (0.2) 0.1 0.7 4.6 1.7 45.8 239 (0.7) (1.6) 0.4 0.1
2008 0 (0.5) 0.2 0 (0.6) (0.3) 1.3 0.6 2.2 4.6 2.9 6.2 16.6 3.8 55.6 234 (0.8) (1.8) 0.5 0.2
2007 0.4 (0.5) 0.2 0.1 0.6 (0.1) (0.5) 0.6 (0.4) (0.8) 0.3 (0.1) (0.2) (0.1) 41.8 238 (0.5) (2.5) 0.4 0.1
2006 (0.7) 1.1 (0.2) (0.1) 0.1 (0.3) 0 0.2 1.6 0.8 (0.3) 0.4 2.6 1.2 52.9 248 (0.4) (1.4) 0.4 0.2
2005 (0.4) 0.2 (0.2) 0.9 0.2 (0.3) (0.5) (0.9) (0.1) 0.3 0.5 (0.8) (1.1) (0.7) 46 241 (0.4) (2.7) 0.4 0.1
2004 (0.1) (0.4) 0.1 (0.6) (0.1) 0.8 (0.7) 0.1 (0.6) (0.1) 0.8 2.8 2 0.9 49 244 (0.4) (2) 0.4 0.1
2003 (0.7) (0.2) 2.1 1.6 (0.5) 0 (0.2) (0.4) 1.1 0.4 (0.7) (0.9) 1.6 0.7 45.1 236 (0.4) (1.6) 0.3 0.1
2002 0.9 (0.8) (0.6) (0.2) 0.5 (0.6) (0.2) (0.1) (0.1) 0.9 0 (0.1) (0.4) (0.2) 44.6 225 (0.4) (2.2) 0.3 0.1
2001 (0.7) 0 0.3 (0.2) 0.3 0.7 0 (0.6) 2 0.9 1.8 0.8 5.3 1.6 49.8 248 (1.1) (1.7) 0.4 0.2
2000 (0.1) (0.8) (0.2) 0.6 (0.5) (0.9) 0.9 (0.9) 1.2 (0.7) (1.1) 2.5 0 0 44.4 232 (0.6) (2.7) 0.4 0.1